Cross AON - cross tade which is executed complete or not. Both sides are treated in the same manner. This is equivalent to an "All or None".

2

Cross IOC - cross trade which is executed partially and the rest is cancelled. One side is fully executed, the other side is partially executed with the remainder being cancelled. This is equivalent to an IOC on the other side. Note: CrossPrioritization (550) field may be used to indicate which side should fully execute in this scenario.

3

Cross One Side - cross trade which is partially executed with the unfilled portions remaining active.. One side of the corss is fully executed (as denoted by the CrossPrioritization (550) field), but the unfilled portion remains active.

4

Cross Same Price - cross trade is executed with existing orders with the same price. In this case other orders exist with the same price, the quantity of the Cross is executed against the existing orders and quotes, the remainder of the corss is executed against the other side of the cross. The two sides potentially have different quantities.

Indicates if one side or the other of a cross order should be prioritized.

0 = None

1 = Buy side is prioritized

2 = Sell side is prioritized

The definition of prioritization is left to the market. In some markets prioritization means which side of the cross order is applied to the market first. In other markets – prioritization may mean that the prioritized side is fully executed (sometimes referred to as the side being protected).

Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor. Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) (identified by SenderCompID (49) or OnBehalfOfCompID (5) as appropriate). Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.

Permits order originators to tie together groups of orders in which trades resulting from orders are associated for a specific purpose, for example the calculation of average execution price for a customer or to associate lists submitted to a broker as waves of a larger program trade.

One of CashOrderQty, OrderQty, or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified. Quantity ordered. This represents the number of shares for equities or par, face or nominal value for FI instruments.

One of CashOrderQty, OrderQty, or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty in tradeable units (e.g. shares) for subsequent messages. Specifies the approximate order quantity desired in total monetary units vs. as tradeable units (e.g. number of shares). The broker or fund manager (for CIV orders) would be responsible for converting and calculating a tradeable unit (e.g. share) quantity (OrderQty (38)) based upon this amount to be used for the actual order and subsequent messages.

For CIV - Optional. One of CashOrderQty, OrderQty or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified. For CIV specifies the approximate order quantity desired. For a CIV Sale it specifies percentage of investor’s total holding to be sold. For a CIV switch/exchange it specifies percentage of investor’s cash realised from sales to be re-invested. The executing broker, intermediary or fund manager is responsible for converting and calculating OrderQty (38) in shares/units for subsequent messages.

For CIV - Optional Specifies which direction to round For CIV – indicates whether or not the quantity of shares/units is to be rounded and in which direction where OrderCashAmt or (for CIV only) OrderPercent are specified on an order.The default is for rounding to be at the discretion of the executing broker or fund manager. e.g. for an order specifying CashOrdQty or OrderPercent if the calculated number of shares/units was 325.76 and RoundingModulus was 10 – "round down" would give 320 units, "round up" would give 330 units and "round to nearest" would give 320 units.

For CIV - Optional For CIV - a float value indicating the value to which rounding is required. i.e. 10 means round to a multiple of 10 units/shares; 0.5 means round to a multiple of 0.5 units/shares. The default, if RoundingDirection is specified without RoundingModulus, is to round to a whole unit/share.

Allows trader to explicitly request anonymity or disclosure in pre-trade market data feeds. Anonymity is relevant in markets where counterparties are regularly disclosed in order depth feeds. Disclosure is relevant when counterparties are not normally visible.

Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade. Indicates request for forex accommodation trade to be executed along with security transaction.

Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking. Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar).

Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field. Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Text field.

For use in derivatives omnibus accounting Indicates whether the resulting position after a trade should be an opening position or closing position. Used for omnibus accounting - where accounts are held on a gross basis instead of being netted together.

Identifies whether an order is a margin order or a non-margin order. This is primarily used when sending orders to Japanese exchanges to indicate sell margin or buy to cover. The same tag could be assigned also by buy-side to indicate the intent to sell or buy margin and the sell-side to accept or reject (base on some validation criteria) the margin request.

Specifies how long the order as specified in the side stays in effect. Absence of this field indicates Day order. Indicates how long the order as specified in the side stays in effect. SideTimeInForce allows a two-sided cross order to specify order behavior separately for each side. Absence of this field indicates that TimeInForce should be referenced. SideTimeInForce will override TimeInForce if both are provided.

Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles) Use "[N/A]" for products which do not have a symbol. Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles). Use "[N/A]" for products which do not have a symbol.

Used in Fixed Income with a value of "WI" to indicate "When Issued" for a security to be reissued under an old CUSIP or ISIN or with a value of "CD" to indicate a EUCP with lump-sum interest rather than discount price. Additional information about the security (e.g. preferred, warrants, etc.). Note also see SecurityType (67). Valid values defined in the NYSE Stock and bond Symbol Directory and in the AMEX Fitch Directory.Fixed Income use:

WI = "When Issued" for a security to be reissued under an old CUSIP or ISIN

CD = a EUCP with lump-sum interest rather than discount price

Value

Meaning

Click to see more

CD

EUCP with lump-sum interest rather than discount price

WI

"When Issued" for a security to be reissued under an old CUSIP or ISIN

Indicates the type of product the security is associated with (high-level category) Indicates the type of product the security is associated with. See also the CFICode (461) and SecurityType (167) fields.

Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments. Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority. See the Product (460) and SecurityType (167) fields. It is recommended that CFICode be used instead of SecurityType (167) for non-Fixed Income instruments.

It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments. Required for Fixed Income. Refer to Volume 7 - Fixed Income Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 - Recommendations and Guidelines for Futures and Options Markets.) Indicates type of security. See also the Product (460) and CFICode (46) fields. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments. NOTE: Additional values may be used by mutual agreement of the counterparties)

Specifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S&P futures). Note MaturityDate (a full date) can also be specified. Can be used with standardized derivatives vs. the MaturityDate (54) field. Month and Year of the maturity (used for standardized futures and options). Format options:

YYYYMM (eg. 199903)

YYYYMMDD (eg. 20030323)

YYYYMMwN (200303w) for week

A specific date or can be appended to the MaturityMonthYear. For instance, if multiple standard products exist that mature in the same Year and Month, but actually mature at a different time, a value can be appended, such as "w" or "w2" to indicate week as opposed to week 2 expiration. Likewise, the date (0-3) can be appended to indicate a specific expiration (maturity date).

Specifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S&P futures).may use MaturityMonthYear and/or this field. When using MaturityMonthYear, it is recommended that markets and sell sides report the MaturityDate on all outbound messages as a means of data enrichment. Date of maturity.

Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date. The date on which a bond or stock offering is issued. It may or may not be the same as the effective date ("Dated Date") or the date on which interest begins to accrue ("Interest Accrual Date")

For Fixed Income: Amortization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than 1. In TIPS securities this is the Inflation index. Qty * Factor * Price = Gross Trade Amount For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract. (Qty * Price) * Factor = Nominal Value

For Fixed Income: Amorization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than . In TIPS securities this is the Inflation index. Qty * Factor * Price = Gross Trade Amount

For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract. (Qty * Price) * Factor = Nominal Value

The location at which records of ownership are maintained for this instrument, and at which ownership changes must be recorded. Can be used in conjunction with ISIN to address ISIN uniqueness issues. Values may include BIC for the depository or custodian who maintain ownership records, the ISO country code for the location of the record, or the value "ZZ" to specify physical ownership of the security (e.g. stock certificate).

ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness. ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (48) (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.

The three-character IATA code for a locale (e.g. airport code for Municipal Bonds). Identifies the locale. For Municipal Security Issuers other than state or province refer to www.atmos.albany.edu or IATA (International Air Tranfor sport Association) city codes at www.iata.org.

Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value. Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.

Used for derivatives. The number of shares/units for the financial instrument involved in the option trade. Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.

Used for derivatives, such as options and covered warrants to indicate a versioning of the contract when required due to corporate actions to the underlying. Should not be used to indicate type of option - use the CFICode[461] for this purpose. Can be used for SecurityType (67) =OPT to identify a particular security. Valid values vary by SecurityExchange:For Exchange: MONEP (Paris)

For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount. Specifies the ratio or multiply factor to convert from "nominal" units (e.g. contracts) to total units (e.g. shares) (e.g. 1.0, 100, 1000, etc). Applicable For Fixed Income, Convertible Bonds, Derivatives, etc. In general quantities for all calsses should be expressed in the basic unit of the instrument, e.g. shares for equities, norminal or par amount for bonds, currency for foreign exchange. When quantity is expressed in contracts, e.g. financing transactions and bond trade reporting, ContractMutliplier should contain the number of units in one contract and can be omitted if the multiplier is the default amount for the instrument, i.e. 1,000 par of bonds, 1,000,000 par for financing transactions.

Used to indicate the size of the underlying commodity on which the contract is based (e.g., 2500 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn, etc.) Physical unit of measure for Derivative products (http://www.unc.edu/~rowlett/units/index.html is a good source for units). Additional values may be used by mutual agreement of the counterparties

For Fixed Income. The rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment. The coupon is always cited, along with maturity, in any quotation of a bond's price.

Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field. Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Issuer field.

Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field. Encoded (non-ASCII characters) representation of the SecurityDesc (107) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the SecurityDesc field.

If different from IssueDate and DatedDate The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates. Often but not always the same as the Issue Date and the Dated Date

Encoded (non-ASCII characters) representation of the UnderlyingIssuer (306) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingIssuer field.

Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc (307) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingSecurityeDesc field.

Specific to the < UnderlyingInstrument > Percent of the Strike Price that this underlying represents. Necessary for derivatives that deliver into more than one underlying instrument. Percent of the Strike Price that this underlying represents.

Specific to the < UnderlyingInstrument > Cash amount associated with the underlying component. Necessary for derivatives that deliver into more than one underlying instrument and one of the underlying's is a fixed cash value. Cash amount associated with the underlying component.

Specific to the < UnderlyingInstrument > Used for derivatives that deliver into cash underlying. Indicates that the cash is either fixed or difference value (difference between strike and current underlying price) Specific to the Used for derivatives that deliver into cash underlying.

Specific to the (not in ) In a financing deal price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest Price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest

Specific to the (not in ) In a financing deal price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement. Price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement.

Specific to the (not in ). For listed derivatives margin management, this is the number of shares adjusted for upcoming corporate action. Used only for securities which are optionable and are between ex-date and settlement date (4 days). Unit amount of the underlying security (shares) adjusted for pending corporate action not yet allocated.

Specific to the (not in ). Specified whether UnderlyingFxRate (1045) should be multiplied or divided to derive UnderlyingCurrentValue (885). Specifies whether the UnderlyingFxRate (1045) should be multiplied or divided.

Repeating group below should contain unique combinations of InstrumentPartyID, InstrumentPartyIDSource, and InstrumentPartyRole Identifies the number of parties identified with an underlying instrument

Indicates order settlement period. If present, SettlDate (64) overrides this field. If both SettlType (63) and SettDate (64) are omitted, the default for SettlType (63) is 0 (Regular)Regular is defined as the default settlement period for the particular security on the exchange of execution.In Fixed Income the contents of this field may influence the instrument definition if the SecurityID (48) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.Additionally the following patterns may be uses as well as enum values

Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values. Specific date of trade settlement (SettlementDate) in YYYYMMDD format. If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) is 6 (Future) or 8 (Sellers Option). This field must be omitted if the value of SettlType (63) is 7 (When and If Issued). (expressed in local time at place of settlement)

Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified. Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)

Value

Meaning

Click to see more

0

Stay on offer side

1

Not held

2

Work

3

Go along

4

Over the day

5

Held

6

Participate don't initiate

7

Strict scale

8

Try to scale

9

Stay on bid side

A

No cross (cross is forbidden)

B

OK to cross

C

Call first

D

Percent of volume (indicates that the sender does not want to be all of the volume on the floor vs. a specific percentage)

Allows orders to specify a minimum quantity that applies to every execution (one execution could be for multiple counter-orders). The order may still fill against smaller orders, but the cumulative quantity of the execution must be in multiples of the MatchIncrement.

Allows an order to specify a maximum number of price levels to trade through. Only valid for aggressive orders and during continuous (autoexecution) trading sessions. Property lost when order is put on book. A partially filled order is assigned last trade price as limit price. Non-filled order behaves as ordinary Market or Limit.

Used for reserve orders when DisplayQty applies to the primary execution market (e.g.an ECN) and another quantity is to be shown at other markets (e.g. the exchange). On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.

Can be used to specify larger increments than the standard increment provided by the market. Optionally used when DisplayMethod = 3 Defines the minimum increment to be used when calculating a random refresh of DisplayQty. A user specifies this when he wants a larger increment than the standard provided by the market (e.g. the round lot size).

Required if NoTradingSessions is > 0. Identifier for Trading Session. Can be used to represent a specific market trading session (e.g. "PRE-OPEN", "CROSS_2", "AFTER-HOURS", "TOSTNET1", "TOSTNET2", etc).Values should be bi-laterally agreed to between counterparties. Firms may register Trading Session values on the FIX website (presently a document maintained within "ECN and Exchanges" working group section).

Optional market assigned sub identifier for a trading session. Usage is determined by market or counterparties. Used by US based futures markets to identify exchange specific execution time bracket codes as required by US market regulations.

A date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU For CIV A date and time stamp to indicate the time a CIV order was booked by the fund manager. For derivatives a date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU. Indicates the time at which the order was finalized between the buyer and seller prior to submission.

Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc. Price per unit of quantity (e.g. per share)

Requires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1 Defines the identity of the security whose prices will be tracked by the trigger logic. Same values as SecurityIDSource (22).

Should be specified if the order changes type. The OrdType the order should have after the trigger has hit. Required to express orders that change from Limit to Market. Other values from OrdType (40) may be used if appropriate and bilaterally agreed upon.

For Fixed Income For Fixed Income. Either Swap Spread or Spread to Benchmark depending upon the order type.

Spread to Benchmark: Basis points relative to a benchmark. To be expressed as "count of basis points" (vs. an absolute value). E.g. High Grade Corporate Bonds may express price as basis points relative to benchmark (the Benchmark field). Note: Basis points can be negative.

The identifier of the benchmark security, e.g. Treasury against Corporate bond. The identifier of the benchmark security, e.g. Treasury against Corporate bond. See SecurityID (tag 48) for description and valid values.

Source of BenchmarkSecurityID. If not specified, then ID Source is understood to be the same as that in the Instrument block. Identifies class or source of the BenchmarkSecurityID (699) value. Required if BenchmarkSecurityID is specified. Same values as the SecurityIDSource (22) field

Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible. See "Appendix 6-A: Valid Currency Codes" for information on obtaining valid values.

Conditionally required if TimeInForce = GTD and ExpireTime is not specified. Date of order expiration (last day the order can trade), always expressed in terms of the local market date. The time at which the order expires is determined by the local market’s business practices

Conditionally required if TimeInForce = GTD and ExpireDate is not specified. Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT"). The meaning of expiration is specific to the context where the field is used.

For orders, this is the expiration time of a Good Til Date TimeInForce.

For Quotes - this is the expiration of the quote.

Expiration time is provided across the quote message dialog to control the length of time of the overall quoting process.

For collateral requests, this is the time by which collateral must be assigned.

For collateral assignments, this is the time by which a response to the assignment is expected.

States whether executions are booked out or accumulated on a partially filled GT order Code to identify whether to book out executions on a part-filled GT order on the day of execution or to accumulate.

If the calculated peg price is not a valid tick price, specifies how to round the price (e.g. be more or less aggressive) If the calculated peg price is not a valid tick price, specifies whether to round the price to be more or less aggressive

Value

Meaning

Click to see more

1

More aggressive - on a buy order round the price up to the nearest tick; on a sell order round down to the nearest tick

2

More passive - on a buy order round down to the nearest tick; on a sell order round up to the nearest tick

If the calculated discretion price is not a valid tick price, specifies how to round the price (e.g. to be more or less aggressive) If the calculated discretionary price is not a valid tick price, specifies whether to round the price to be more or less aggressive

Value

Meaning

Click to see more

1

More aggressive - on a buy order round the price up to the nearest tick; on a sell round down to the nearest tick

2

More passive - on a buy order round down to the nearest tick; on a sell order round up to the nearest tick

Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate. For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume) For a TargetStrategy=Participate order specifies the target particpation rate. For other order types this is a volume limit (i.e. do not be more than this percent of the market volume)

Supplementary registration information for this Order Free format text defining the designation to be associated with a holding on the register. Used to identify assets of a specific underlying investor using a common registration, e.g. a broker’s nominee or street name.

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